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  • Search: subject:"Sparse grids"
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Year of publication
Subject
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Option pricing theory 4 Optionspreistheorie 4 Sparse grids 4 Stochastic process 4 Stochastischer Prozess 4 Computer network 3 Computernetz 3 Estimation theory 3 Monte Carlo simulation 3 Monte-Carlo-Simulation 3 Schätztheorie 3 Adaptive sparse grids 2 Black-Scholes model 2 Black-Scholes-Modell 2 Curse of dimensionality 2 Discrete time dynamic programming 2 Dynamic portfolio choice 2 GHK simulator 2 Gradient-based optimization 2 Hierarchical B-splines 2 Monte Carlo 2 Multivariate probit model 2 Multivariate quadrature-based approaches 2 Option trading 2 Optionsgeschäft 2 Simulation 2 Simulation approaches 2 Sparse grids integration 2 Spatially adaptive sparse grids 2 Volatility 2 Volatilität 2 high-performance computing 2 option pricing 2 Adjustment costs 1 Analysis 1 Anpassungskosten 1 Autocorrelation 1 Autokorrelation 1 Autoregressive 1 Black-Scholes partial differential equation (BS-PDE) 1
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Online availability
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Undetermined 9 Free 2
Type of publication
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Article 12 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 Article 1
Language
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English 10 Undetermined 3
Author
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Pflüger, Dirk 3 Abay, Kibrom A. 2 Bayer, Christian 2 Scheidegger, Simon 2 Schober, Peter 2 Valentin, Julian 2 Ben Hammouda, Chiheb 1 Benk, Janos 1 Brumm, Johannes 1 Bungartz, H. 1 Gordon, Grey 1 Griebel, M. 1 Madaras, Szilárd 1 Mertens, Thomas 1 Röschke, D. 1 Siebenmorgen, Markus 1 Sándor, Zsolt 1 Tempone, Raul 1 Tempone, Raúl 1 Treccani, Adrien 1 Zenger, C. 1
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Institution
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Society for Computational Economics - SCE 1
Published in...
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Economics letters 2 Quantitative finance 2 Computational Economics 1 Computational economics 1 Computing in Economics and Finance 2005 1 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 1 Economics Letters 1 Journal of financial econometrics 1 Mathematics and Computers in Simulation (MATCOM) 1 The journal of computational finance 1
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Source
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ECONIS (ZBW) 9 RePEc 3 EconStor 1
Showing 11 - 13 of 13
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Evaluating simulation-based approaches and multivariate quadrature on sparse grids in estimating multivariate binary probit models
Abay, Kibrom A. - In: Economics letters 126 (2015), pp. 51-56
Persistent link: https://www.econbiz.de/10011376393
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Option pricing with sparse grids
Mertens, Thomas - Society for Computational Economics - SCE - 2005
We investigate the suitability of sparse grids for solving high-dimensional option pricing and interest rate models … through sparse grids which will result from a multi-level splitting of the solution. We make use of an adaptive algorithm in …
Persistent link: https://www.econbiz.de/10005132688
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A proof of convergence for the combination technique for the Laplace equation using tools of symbolic computation
Bungartz, H.; Griebel, M.; Röschke, D.; Zenger, C. - In: Mathematics and Computers in Simulation (MATCOM) 42 (1996) 4, pp. 595-605
For a simple model problem—the Laplace equation on the unit square with a Dirichlet boundary function vanishing for x = 0, x = 1 and y = 1, and equaling some suitable g(x) for y = 0—we present a proof of convergence for the so-called combination technique, a modern, efficient and easily...
Persistent link: https://www.econbiz.de/10011050597
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